Nonlinear dynamics of speculative attacks on the Finnish markka, 1987-1992

Risto Murto

No 13/1994, Bank of Finland Research Discussion Papers from Bank of Finland

Abstract: In this paper, I estimate nonlinear autoregressive models for Finnish short-term interest rates using daily data.The nonlinear models considered in the paper are the logistic (LSTAR) and exponential (ESTAR) autoregressive models.The estimated LSTAR model appears to capture some of the interest rate dynamics associated with the speculative attacks against the Finnish markka.The combined LSTAR-GARCH models are also estimated.

Date: 1994
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:bofrdp:rdp1994_013

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